The Swans boss, who left Wednesday on Christmas Eve after two-and-a-half years in charge, during which he led the Owls to two play-off finishes, received a warm reception from Owls fans on his first return to the club.
Perhaps fittingly, the match ended in a 0-0 draw and Carvalhal said the applause he received from fans when he stepped off the coach and at the end of the match, made him 'very proud'.
He said that he spoke to some Owls fans afterwards, a moment which he said almost made him cry.
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"I almost cried after the game when two fans came to talk with me," he said. "It's a very emotional moment.
"I must say thank you to Sheffield Wednesday for the way that the fans received me, the buzz in the stadium, the players, also the manager (Jos Luhukay), the staff, everybody. It's the part that I love in football. That's the beauty of football, football is very positive, it is something nice, it's not negative.
"Sheffield Wednesday fans are unbelievable. I know that a player or a manager who works hard, gives 100% to the club will be 100% sure to get recompense.
"I felt big recompense for everything I gave to Sheffield Wednesday and I'm very proud about this moment. It's something I'll never forget."
Carvalhal added that the fact the return came such a short time after he left the club, during a difficult stage of the season, made the reception all the more emotional.
"I'm happy because it was a short time ago that I was at Sheffield Wednesday," he said. "It was not an easy moment for me when we break the contract, they very hard days. But when you look back and you remember everything you left you stay proud.
"It was not just the two play-offs, it was the things that we turned very fast. After two months we started playing fantastic football. We achieved two play-offs, one final, one semi-final. We lost the semi-final on penalties; we didn't lose against Huddersfield.
"We lost the final in 72 minutes or something, so the line between a fantastic work is very short. It doesn't make you a better manager, the difficult thing is to put the team there and put them there twice.
"The connections we achieved here with the people also with the press, the chairman with the fans. When we are back here we have a mix of feelings that make you be a little more emotional.
"I tried to concentrate on the things that I must do but I must tell you it was hard to do that.
"To come back after five years or 10 years will be great. To come back after eight weeks and have this kind of reception makes me the most happy manager in the world."